I second what MotorCurl says. This mgr's comments border on harassment - sexual or otherwise. It's not ok to make verbal derogatory comments on a person's physical appearance, and your choices about how you wear your hair are as personal as your religious or sexual orientation preferences. If she made comments about your sexual orientation, you wouldn't think twice about reporting her to HR, I hope, so ongoing derogatory remarks about your physical appearance that make you feel bad should be regarded in the same manner.
If the comments make you feel bad, they should be reported. What I would do (and have done in a similar situation) is, ask the person (politely) to stop making the comments, explaining that I do not appreciate them and that they actually make me feel bad, explaining it in the context that just as I do not make observations of a personal nature about anyone else in the workplace, because that is unprofessional and against the company's policy's on harassment, I expect the same courtesy.
After that, the very next time a comment comes my way from that person, I'd report it to HR.

Sorry you have to deal with that. I hate people like that. It's so rude and unnecessary.